What should be selected in order to store a pose?
Not familiar with the MakeHuman rig specifically, but generally speaking, on a sufficiently complex rig, you typically have control bones and deformation bones. You only set keyframes on the control bones... this is both in animation as well as building a pose library. Judging from your screenshot, I'd say you should only set keys on the larger, L-shaped finger bones and not the bones located within the mesh geometry. Those should remain hidden in nearly all cases.